Naver happened to me. It seems a bit improbable to have a stray missile coming at you after you destroy the last enemy, well, maybe launched by one of your pals... anyway, if you get killed it's over, no matter when or by whom.

Indeed, but the missile has to be fired from somewhere, so all enemy missiles would certainly be moving away from the battle by then. The only missiles moving in would have to be fired from 'outside' and since you just killed the last enemy there isn't anybody there anymore.

You can be killed after the end of mission. I've had it happen several times and it is very frustrating. I asked Sean to take a look at code to fix this which hopefully will be incorporated into the next version of CM.